Robust Variance-constrained H-infinity Output Feedback Control for Stochastic Systems

This paper designs an dynamic output feedback controller for uncertain stochastic systems with multiplicative noises with the robust H_infin control problem. Sufficient conditions are given for the multi-objective controller design problem in terms of certain linear matrix inequalities (LMIs). When these LMIs are feasible, some problem could be solved, such as: the augmented system is exponentially mean-square quadratically stable, the output variance is not more than a prescribed value, and the H_infin index is satisfied from the additive noise to the output, etc. A numerical example is provided to illustrate the effectiveness of the proposed design algorithm.